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首页> 外文期刊>Research in International Business and Finance >Asymmetric multifractal features of the price-volume correlation in China's gold futures market based on MF-ADCCA
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Asymmetric multifractal features of the price-volume correlation in China's gold futures market based on MF-ADCCA

机译：基于MF-Adcca的中国黄金期货市场价格上涨的不对称多术特征

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摘要

In recent years, fractal theory has become a recognized research direction for explaining various complex phenomena that are difficult to constrain in the conventional efficient market hypothesis for financial markets. Moreover, because the gold futures prices are crucial to the futures market, research on the relationship between quantity and price is important for understanding market fluctuations. Therefore, this paper conducts an empirical analysis of the multifractal features and asymmetry in the price-volume correlation of China's gold futures market based on the multifractal asymmetric detrended cross-correlation analysis method(1). Results show that the cross-correlation between market price and volume is asymmetric and multifractal and that multifractal features are stronger when the price increases compared with when it declines. Moreover, the multifractal features vary over time. These findings indicate that the risk of China's gold futures market will change with the price trend over time.
机译：近年来，分形理论已成为解释各种复杂现象的认可的研究方向，这些现象难以在传统的高效市场假设中对金融市场限制。此外，由于黄金期货价格对期货市场至关重要，对数量与价格之间关系的研究对于了解市场波动很重要。因此，本文对中国黄金期货市场的数量相关性和不对称的基于多分乳液不对称的互相关分析方法（1）进行了对中国金期货市场的数量相关性的实证分析。结果表明，市场价格和体积之间的交叉相关性是不对称和多重的，而多分形功能与价格上涨相比，当它拒绝时，较高。此外，多重分术特征随着时间的推移而变化。这些调查结果表明，中国金期货市场的风险将随着时间的推移而随着价格趋势而变化。

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  • 来源
    《Research in International Business and Finance》 |2021年第12期|101495.1-101495.14|共14页
  • 作者

    Guo Yaoqi; Yu Zhuling; Yu Chenxi; Cheng Hui; Chen Weixun; Zhang Hongwei;

  • 作者单位

    Cent South Univ Sch Math & Stat Changsha 410083 Peoples R China|Cent South Univ Inst Met Resources Strategy Changsha 410083 Peoples R China;

    Cent South Univ Sch Math & Stat Changsha 410083 Peoples R China;

    Cent South Univ Sch Math & Stat Changsha 410083 Peoples R China;

    Hunan Normal Univ Coll Tourism Changsha 410081 Hunan Peoples R China|Cent South Univ Inst Met Resources Strategy Changsha 410083 Peoples R China;

    Cent South Univ Sch Math & Stat Changsha 410083 Peoples R China;

    Cent South Univ Sch Math & Stat Changsha 410083 Peoples R China|Cent South Univ Inst Met Resources Strategy Changsha 410083 Peoples R China;

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  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

    Economic statistics; Multifractal; MF-ADCCA; Gold futures; Price-volume relationship; Asymmetry;

    机译：经济统计;多重术;MF-Adcca;金期货;价格体积关系;不对称;

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